Fitch Downgrades CDC MBS Classes

Seven classes from three issues of CDC Mortgage Capital Trust mortgage pass-through certificates have been downgraded by Fitch Ratings.The downgrades were as follows: series 2002-HE3, class M2, from A to BBB, and class B1, from B-plus to CC; series 2003-HE1, class M3, from A to BBB-plus, class B1, from BB-plus to B-plus, and class B2, from B-plus to C; and series 2003-HE2, class B2, from BB-plus to BB, and class B3, from BB-minus to B-plus. In addition, Fitch affirmed the ratings on seven classes from the three CDC deals and assigned Distressed Recovery ratings of DR3 to class B1 of series 2002-HE3 and DR6 to class B2 of series 2003-HE1. The rating agency attributed the downgrades to a deterioration in the relationship between credit enhancement and expected losses. The pools consist of fixed- and adjustable-rate subprime mortgages on one- to four-family residential properties. Fitch can be found online at http://www.fitchratings.com.